So I skip this step and after finishing install I reboot my PC. After reboot, Win 10 loaded correctly. After next reboot I hit F11 for Boot device selection. Now I have here next to Win 10 also Debian:https://imgur.com/dZ5rQ2u

You have 2 SSDs, one is 250 GB, the other 500 GB. You have attempted to install Grub on the one with Windows (250GB) instead of the one where is Debian (500 GB). When you have 2 separate disks, it is easy to dual boot. Just make sure you install Debian and Grub on the right disk (the 500 GB one). Windows will boot fine on it's own disk without Grub (since it's UEFI system).

See this page:https://wiki.debian.org/GrubEFIReinstallIf debian is installed in efi mode, maybe you need to use grub-efi.If not, try the above solution with grub-install, but after that update grub with:

The second picture suggests that GRUB EFI started but could not find /boot/grub/grub.cfg needed to display the boot menu.Maybe the error during the installation aborted the installation of GRUB before the creation of the file. update-grub should indeed create it.